In this thesis, I study three aspects of sell-side analysts’ stock price forecasts, henceforth target prices: analyst teams’ target price forecast characteristics, analysts’ use of information to revise target prices, and determinants of target price disagreement between analysts.The first essay studies the target price forecast performance of team analysts in the UK and finds that teams issue timelier but not less accurate target prices. Unlike evidence from previous studies, my findings suggest that analyst teamwork may improve forecast timeliness without sacrificing forecast accuracy. However, market reactions to team target price revisions are not significantly different from those to individual analyst target price revisions, suggesting that although target prices issued by analyst teams are timelier and not less accurate than those of individual analysts, investors do not consider analyst team target prices more informative. I conjecture that analysts may work in teams to meet the demand to cover more companies while maintaining the quality of research by individual team members rather than to issue more informative reports.In the second essay, I study how analysts revise their target prices in response to new information implicit in recent market returns, stock excess returns and other analysts’ target price revisions. The results suggest that analysts’ target price revisions are significantly influenced by market returns, stock excess return and other analysts’ target price revisions. I also find that the correlation between target price revisions and stock excess returns is significantly higher when the news implicit in these returns is bad rather than good. I conjecture that analysts discover more bad news from the information in stock excess returns because firms tend to withhold bad news, disclosing it only when it becomes inevitable, while they disclose good news early. Using a new measure of bad to good news concentration, I show that the asymmetric responsiveness of target price revisions to positive and negative stock excess returns is significant for firms with the highest concentration of bad news but is insignificant for firms with the lowest concentration of bad news. I argue that firms with the highest concentration of bad news are more likely to withhold and accumulate bad news. The findings, therefore, support my hypothesis that analysts discover more bad news than good news from stock returns because firms tend to withhold bad news, disclosing it only when it is inevitable. The third essay examines the determinants of analyst target price disagreement. I find that while disagreement in short-term earnings and in long-term earnings growth forecasts are significant determinants, recent 12-month idiosyncratic return volatility has the strongest explanatory power for target price disagreement. The findings suggest that target price disagreement is driven not only by analyst disagreement about short-term earnings and long-term earnings growth, but also by differences in analysts’ opinions about the impact of recent firm-specific events on value drivers beyond short-term future earnings and long-term growth, which are eventually reflected in past idiosyncratic return volatility.

In 2003, the Centre for Operations Excellence at the University of British Columbia's Sauder School of Business worked on a project for a company in the resort industry. The project was an initial attempt to develop and implement a pricing management practice for the ski lift ticket business of that company. Our main deliverable was the development of an Excel-based tool with a user-friendly interface that could help the company in their budgeting of the ski lift ticket business. After completing the project, we did some further investigation relative to pricing management techniques that could be applied to this sort of business, namely a congestible service industry. In this thesis we argue that a revenue management system could bring substantial benefits if implemented in this industry. We also identify the requirements and main features of a revenue management system applied to congestible service industries. Although revenue management is a very popular system in fields such as the airline, hotel and car rental industry, none of them can be classified as congestible industries. The ski lift ticket industry and similar industries possess one characteristic that differentiates them from the ones previously mentioned, there is no fixed capacity. This is the reason why we considered important to study the application of revenue management in congestible service industries. / Business, Sauder School of / Graduate

The present thesis provides a definite answer to the question of how comparisons of certain aggregate quantities and price levels should be made across two or more geographic regions. It does so from the viewpoint of both economic theory and the “test” (or “axiomatic”) approach to index-number theory. Chapter 1 gives an overview of the problem of multilateral interspatial comparisons and introduces the rest of the thesis. Chapter 2 focuses on a particular domain of comparison involving consumer goods and services, countries and households in developing a theory of international comparisons in terms of the the (Kontis-type) cost-of-living index. To this end, two new classes of purchasing power parity measures are set out and the relationship between them is explored. The first is the many-household analogue of the (single-household) cost-of-living index and, as such, is rooted in the theory of group cost-of-living indexes. The second Consists of sets of (nominal) expenditure-share deflators, each corresponding to a system of (real) consumption shares for a group of countries. Using this framework, a rigorous exact index- number interpretation for Diewert’s “own-share” system of multilateral quantity indexes is provided. Chapter 3 develops a novel multilateral test approach to the problem at hand by generalizing Eichhorn and Voeller’s bilateral counterpart in a sensible manner. The equivalence of this approach to an extended version of Diewert’s multilateral test approach is exploited in an assessment of the relative merits of several alternative multilateral comparison formulae motivated outside the test-approach framework. Chapter 4 undertakes an empirical comparison of the formulae examined on theoretical grounds in Chapter 3 using an appropriate cross-sectional data set constructed by the Eurostat—OECD Purchasing Power Parity Programme. The principal aim of this comparison is to ascertain the magnitude of the effect of choosing one formula over another. In aid of this, a new indicator is proposed which facilitates the measurement of the difference between two sets of purchasing power parities, each computed using a different multilateral index-number formula. / Arts, Faculty of / Vancouver School of Economics / Graduate

We present a tree algorithm, called the willow tree, for financial derivative pricing. The setup of the tree uses a fixed number of spatial nodes at each time step. The transition probabilities are determine by solving linear programming problems. The willow tree method is radically superior in numerical performance when compared to the binomial tree method. / Science, Faculty of / Mathematics, Department of / Graduate

Prof. F.J. Herbst

A imagem de preço de produto e o valor percebido são importantes indicadores da intenção de recompra. Para tal, o objetivo deste estudo foi verificar as relações entre a imagem de preço de produto, o valor percebido e a intenção de recompra junto aos consumidores de cervejas especiais. Assim, foi desenvolvida uma survey com 329 consumidores buscando atingir o objetivo desta pesquisa. Para a análise dos dados procedeu-se a aplicação da técnica de Modelagem de Equações Estruturais. Os resultados encontrados indicam que há uma relação direta positiva entre a imagem de preço de produto e o valor percebido e entre o valor percebido e a intenção de recompra para as cervejas especiais. Quanto aos efeitos moderadores, concluise que a experiência do consumidor modera positivamente a relação entre o valor percebido e a intenção de recompra, porém o mesmo não ocorreu quando se analisou o efeito moderadores negativo da sensibilidade ao preço e dos níveis de preço (baixo e alto) na relação entre o valor percebido e a intenção de recompra. As principais contribuições teóricas deste estudo se referem ao teste de um modelo para a imagem de preço de produto, seus efeitos sobre o valor percebido a intenção de recompra e as relações de moderação pela sensibilidade ao preço, experiência do consumidor e níveis de preço. Como implicações gerenciais são propostas ações visando melhor compreender a percepção da imagem de preço dos consumidores de cervejas especiais para melhor direcionar as ações estratégicas de apreçamento deste produto. Estudos futuros podem ampliar a compreensão do modelo desenvolvido, aplicando-o a profissionais do segmento cervejeiro, desenvolver estudos experimentais e agregar novos construtos ao modelo teórico proposto. / Coordenação de Aperfeiçoamento de Pessoal de Nível Superior, CAPES / The image of product price and perceived value are important indicators of the intention to repurchase. To this end, the objective of this study was to verify the relations between the product price image, the perceived value and the intention to repurchase with the consumers of special beers. Thus, a survey was conducted with 329 consumers seeking to achieve the objective of this research. For the analysis of the data, the Structural Equation Modeling technique was applied. The results indicate that there is a direct positive relationship between the product price image and the perceived value and between the perceived value and the intention to repurchase the special beers. As for the moderating effects, it is concluded that the consumer experience moderates positively the relation between perceived value and repurchase intention, but this was not the case when the negative moderating effect of price sensitivity and price levels (low and high) in the relationship between the perceived value and the repurchase intention. The main theoretical contributions of this study refer to the test of a model for the image of product price, its effects on the perceived value and the intention of repurchase and the relations of moderation by the sensitivity to the price, consumer experience and price levels. As managerial implications are proposed actions aimed at better understanding the perception of the price image of consumers of special beers to better direct the strategic pricing actions of this product. Future studies can broaden the understanding of the developed model, applying it to professionals in the brewing segment, developing experimental studies and adding new constructs to the proposed theoretical model.

In this doctoral dissertation, I study markets in which the private information held by various agents may be reflected in prices, and as a result may be leaked to other market participants. Specifically, I study how the market microstructure interacts with the price discovery process, the market efficiency, agents' market power, and social welfare. This dissertation consists of two chapters. The first chapter studies the implications of leakage of information through prices for the efficient operation of markets with heterogeneous agents. Focusing on uniform-price double auctions, I first characterize how the presence of heterogeneity (e.g., in terms of agents’ trading costs, information precision, or risk attitudes) can shape the information content of prices and hence the market’s informational efficiency. I find that price informativeness decreases with the extent of heterogeneity in the market. I then establish that such reductions in price informativeness can in turn manifest themselves as an informational externality: in the presence of heterogeneity, agents do not internalize the impact of their trading decisions on the information revealed to others via prices. This chapter also shows that the welfare implications of this heterogeneity-induced informational externality depends on the intricate details of the market. The results thus indicate that accounting for the possibility of information leakage should be an important consideration in designing markets with asymmetric information. I conclude by exploring the welfare implications of market segmentation in the presence of heterogeneous agents and information leakage. The second chapter studies how information asymmetry shapes price impact in the presence of strategic interactions, i.e., agents' actions being strategic substitutes or strategic complements. Focusing on demand-function competition with strategic interactions, I first establish the existence and characterize the equilibrium. The characterization indicates that strategic interactions have a direct impact on the weights agents put on their private information: as strategic interaction increases, agents put less weight on their private information. I also characterize the relation between price impact, strategic interaction, and information asymmetry. While price impact decreases as the level of information asymmetry decreases, the relation between price impact and strategic interaction is more subtle, and it depends on whether agents submit upward- or downward-sloping demand schedules. When agents submit downward-sloping demand curves, price impact decreases as the extent of strategic substitutability increases, and increases as the extent of strategic complementarity increases. Furthermore, strong interaction may mitigate or exacerbate the effect of information asymmetry on agents' price impact, depending on the slope of the inverse supply curve. The results in this chapter thus emphasize the importance of accounting for strategic interactions between market participants, when assessing their price impact in markets with asymmetric information.

A growing number of Chinese corporations have been listing their shares on foreign stock markets. Hong Kong Stock Exchange (HKEX) and New York Stock Exchange (NYSE) are their major targets. Taking China’s exchange rate system reform as a unique event, I examine the price disparity between A-share and H-share (or ADR) using a sample of 28 Chinese companies listed in Shenzhen, Shanghai, Hong Kong, and New York. I conduct a panel-data investigation to examine the price disparity before and after the transition from the pegged to the managed floating exchange rate. I have obtained several important findings in this study. First, RMB exchange rate reform in 2005 has significant effect on price disparity between A-shares and H-shares and also between A-share and ADR, which shows that relaxation of the exchange rate control brings about a clear convergence of A-share price with foreign share price. This result is robust with different models. Second, we also found that currency factor has significant effect on price premium between A-shares and foreign shares. Appreciation in RMB would lead to a decrease in price premium. In addition, exchange rate reform exerts its effect whether or not we take into account the impact from the Split-share structure reform.

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